I am introducing a 'Max Wait' analytic to the Lazy Backtest IDE, which reports the maximum number of years needed to ensure a profit.

For example, if I have 50 years of backtesting history. Perhaps out of 12 four year periods, one has incurred a loss. But out of 10 five year periods none have incurred losses. We would report the 'Max Wait' to be 5 years.

I.e. based on historical returns for this strategy you may have to wait up to 5 years to see a profit!

Note over 50 years, the 'Expected Wait' for the S&P 500 is 1 year (over 50% of 1 year returns have been positive) and the max wait has been 8 years (there have been 7 year periods which accrued losses!).

Based on the t-distribution, I have also included a 'Probability of Yearly Loss' analytic.